Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0387
Annualized Std Dev 0.1897
Annualized Sharpe (Rf=0%) 0.2038

Row

Daily Return Statistics

Close
Observations 2862.0000
NAs 1.0000
Minimum -0.1098
Quartile 1 -0.0049
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0061
Maximum 0.0892
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0119
Skewness -0.7832
Kurtosis 10.1765

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0078
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.3865
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0295
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0446
From Trough To Depth Length To Trough Recovery
2018-01-29 2020-03-23 2021-01-05 -0.3865 740 541 199
2014-07-07 2016-02-11 2017-09-19 -0.2748 809 405 404
2011-05-02 2012-06-01 2013-09-18 -0.2709 600 275 325
2010-04-15 2010-06-07 2010-10-08 -0.1922 124 37 87
2010-01-15 2010-02-08 2010-04-14 -0.1290 61 16 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA NA NA 2.8 -0.4 2.4
2010 2.1 1 1.6 -1.3 -1.1 1.3 -0.1 3.5 0.8 -0.5 2.8 0.7 11.2
2011 2.2 -1.2 0.9 0.3 -2.3 1 -0.6 -1.2 -3.2 -3.1 -0.4 0.2 -7.3
2012 1.7 1.2 0.8 0.4 -2.2 3.5 0.1 1.2 0.9 0.9 0.2 1.6 10.4
2013 0.8 0.1 -1.4 -0.6 -2.1 1.1 1.1 -1 0.6 -0.4 0.2 0.5 -1.1
2014 -0.8 0.2 0.5 0.5 -0.1 0.8 -0.6 0.1 -1.1 1.7 -0.2 -0.6 0.5
2015 -1.4 0 0.6 0.8 -0.4 0.4 0.4 -3.4 0.3 -0.2 1 -1.2 -3
2016 -0.2 2.5 -1.1 -0.4 -0.1 0.3 -0.6 0.7 0.7 -0.4 -0.3 0.2 1.4
2017 0.4 1.1 -0.2 0.5 0.8 0.1 0.5 0.2 0.6 0.2 -0.2 0 3.9
2018 0.1 -1.4 1.1 -0.3 0.7 0.6 -0.3 -0.7 0.3 1.2 -0.5 0.2 1.2
2019 0 0.5 1.3 -0.6 -0.8 0.5 -0.5 0.5 -1 1 -0.8 0.4 0.5
2020 -1.7 -0.6 -4.7 -2.3 2.3 0.3 -1.9 0.2 0.5 -0.5 2.2 -0.7 -6.9
2021 1.4 2 0.2 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy  ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>  <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-11-03  24.6 SPY    105. 0.0032  -0.0166   0.0061   0.0422   0.0776   -0.235  -0.0784 GLD    106.  0.0241   0.0453
2 2009-11-04  24.9 SPY    105. 0.0026   0.0049  -0.0056   0.0504   0.0449   -0.233  -0.0875 GLD    107.  0.006    0.0632
3 2009-11-05  25.2 SPY    107. 0.0184   0.0019   0.0099   0.0558   0.111    -0.217  -0.0832 GLD    107. -0.0011   0.0418
4 2009-11-06  25.4 SPY    107. 0.0026   0.0345   0.0049   0.0608   0.179    -0.224  -0.0865 GLD    107.  0.0042   0.0478
5 2009-11-09  26.1 SPY    110. 0.0228   0.0503   0.0215   0.0987   0.167    -0.210  -0.0644 GLD    108.  0.0071   0.0408
6 2009-11-10  25.9 SPY    110. 0.0002   0.0472   0.0177   0.0872   0.183    -0.211  -0.0624 GLD    108.  0.0018   0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart